Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0481
Annualized Std Dev 0.2452
Annualized Sharpe (Rf=0%) -0.1963

Row

Daily Return Statistics

Close
Observations 3294.0000
NAs 1.0000
Minimum -0.1218
Quartile 1 -0.0062
Median 0.0003
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0066
Maximum 0.1006
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0154
Skewness -0.7002
Kurtosis 9.1761

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0106
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.6926
Historical VaR (95%) -0.0231
Historical ES (95%) -0.0390
Modified VaR (95%) -0.0256
Modified ES (95%) -0.0558
From Trough To Depth Length To Trough Recovery
2008-02-28 2009-03-09 NA -0.6926 3289 259 NA
2008-02-20 2008-02-20 2008-02-25 -0.0079 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -2.5 2.5 -0.3 0.4 -1.6 -0.8 0.2 0.2 2.6 -3.9 1.5 -2.1
2009 -2.3 -0.6 2.1 2 4.7 1.3 1.3 -2.5 -3 -3.5 1.9 -0.3 0.6
2010 1.7 0.7 1.5 -0.2 -1.7 2.1 -0.1 3.1 0.9 -0.3 3 0.9 12
2011 1.8 -1.6 1.2 0.2 -2.3 1 -0.9 -1.1 -3.4 -3.8 -0.9 0.1 -9.4
2012 1.8 1 1 0.4 -1.8 4.7 0.2 1.1 0.6 0.6 0 1.8 11.8
2013 1.1 0 -0.5 -0.9 -2.6 0.1 0.5 -0.2 0.7 -0.6 -0.1 0.4 -1.9
2014 -1 0.3 0.6 -0.3 -0.2 0.3 -0.4 0 -1.2 0.7 -1.1 -0.6 -3
2015 -0.8 0.3 0.9 0.5 -0.5 -0.3 -0.2 -3.3 0.2 0.4 1.4 -0.8 -2.2
2016 -0.4 2.6 -1.2 0.1 -0.3 0.4 -0.9 1.1 0.8 -0.4 0.2 -0.2 1.8
2017 0 0.6 -0.1 0.5 0.7 -0.3 0.4 0.2 0.5 -0.3 0.2 -0.1 2.5
2018 0 -0.8 0.9 -0.2 0.4 0.6 -0.5 -0.6 -0.1 1.4 -0.3 0.2 0.9
2019 -0.3 -0.1 0.8 -0.4 -0.1 0 -0.1 0.3 -0.5 0.6 -0.4 0.2 0
2020 -1.1 -1.8 -4.3 -2.6 2 0.5 -1.3 -0.2 0.7 -0.4 1.4 -0.8 -7.8
2021 0.8 1.3 0.6 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-02-19  73.1 SPY    136.  0.0028   0.0132   0.0157  -0.0688  -0.0701    0.119    0.610 GLD    91.6  0.0273   0.0027
2 2008-02-20  72.5 SPY    136.  0.003    0.0069   0.0292  -0.0677  -0.0693    0.121    0.587 GLD    93.2  0.0181   0.0438
3 2008-02-21  72.7 SPY    135. -0.0083  -0.0116   0.0311  -0.0624  -0.0767    0.121    0.582 GLD    93.2  0.0001   0.0426
4 2008-02-22  72.5 SPY    136.  0.0062   0.0033   0.0131  -0.0624  -0.0703    0.126    0.608 GLD    93.4  0.0015   0.041 
5 2008-02-25  75.0 SPY    137.  0.0126   0.0162   0.0173  -0.0307  -0.0549    0.158    0.612 GLD    92.7 -0.007    0.0403
6 2008-02-26  76.4 SPY    138.  0.0075   0.021    0.04    -0.04    -0.0469    0.158    0.651 GLD    93.7  0.0105   0.0233
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart